IGV Options History — March 2024

In March 2024, IGV traded between $83.06 and $87.05. ATM implied volatility averaged 22.8%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.4% (HV 20d: 26.2%). Max pain ranged from $84.00 to $85.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.39.

Notable Days

  • 2024-03-05: Highest Volume — 48,010 contracts
  • 2024-03-05: Largest IV spike — 27.1% change
  • 2024-03-15: Highest IV Rank — 58.2%
  • 2024-03-15: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.51$83.06$87.05$86.88$85.38
Max Pain$84.47$84.00$85.00$85.00$85.00
ATM IV22.8%19.9%28.1%19.9%19.9%
Expected Move6.4%5.7%7.1%5.7%5.7%
HV 20d26.2%22.9%29.2%24.6%22.9%
HV 60d22.1%19.8%22.8%19.8%21.7%
IV Rank33.0%11.0%58.2%11.0%26.7%
IV Percentile68.5%36.5%96.0%36.5%36.5%
Term Structure-0.4%-5.5%0.9%0.3%0.4%
VWIV23.2%20.4%25.8%21.1%20.5%
Skew 25d2.7%-1.0%4.5%2.1%2.7%
Skew 10d6.2%3.4%9.4%7.0%4.5%
Call IV 25d21.2%18.9%23.9%19.4%18.9%
Put IV 25d23.9%21.4%26.7%21.4%21.6%
Bid-Ask Spread %73.1749.9797.9965.4683.46
Gamma HHI0.180.100.500.140.14
Net GEX-12.1M-48.1M404-11.2M-8.1M
Net DEX-10.4M-90.1M110.1M-41.2M-19.3M
Net VEX-700.3K-915.2K-164-747.9K-645.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.174.160.932.44
Total Volume5,766.7539748,0103,405987
Total OI95,040.430133,079104,50075,471

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$86.88$85.0019.9%5.7%24.6%11.0%21.1%2.1%0.3%-11.2M-41.2M-747.9K0.9365.461,7651,64028,02076,480
2024-03-04$86.57$84.0021.1%5.9%24.5%15.4%22.2%3.1%0.4%-10.6M-49.6M-695.4K1.5850.481,1301,78028,74076,295
2024-03-05$83.06$84.0026.9%6.5%28.6%35.3%23.3%3.7%0.1%-23.8M110.1M-840.9K2.5750.2013,43034,58029,36076,695
2024-03-06$84.34$84.0025.3%7.0%29.2%29.8%25.3%3.9%-1.3%-19.3M34.3M-915.2K2.8549.973,3609,58538,13587,645
2024-03-07$85.52$0.0023.9%6.6%28.7%25.2%24.2%-1.0%0.8%40469.8K-1640.9987.691,3451,328219
2024-03-08$85.03$84.0023.9%6.9%28.6%25.1%23.6%4.2%0.9%-18.2M1.3M-913.2K0.3075.123,5391,06438,64294,437
2024-03-11$85.22$84.0028.1%7.0%28.1%39.9%25.8%4.5%0.0%-19.3M-3.7M-824.6K1.5274.122,8834,37136,49894,707
2024-03-12$87.05$84.0023.3%5.9%29.0%23.0%24.1%3.5%0.6%-5.5M-90.1M-720.4K0.8673.192,8702,46234,96694,783
2024-03-13$86.47$84.0023.0%6.6%27.6%21.8%22.3%3.0%0.4%-6.0M-76.6M-715.6K0.1772.333,43557635,90696,267
2024-03-14$85.75$84.0024.3%7.0%26.7%38.9%24.4%3.6%-2.4%-13.8M-19.9M-750.6K0.5774.811,9571,10733,74596,241
2024-03-15$83.59$84.0024.7%7.1%28.1%58.2%25.8%0.6%-5.5%-48.1M95.4M-742.2K4.1697.992,0068,35134,27296,635
2024-03-18$84.72$84.0023.2%6.6%28.2%49.7%23.0%2.8%-1.7%-8.5M5.3M-746.3K0.3169.452,48176719,62253,487
2024-03-19$85.02$85.0022.9%6.6%27.6%47.4%24.5%3.1%-0.9%-7.9M-2.3M-731.7K1.1172.4944449520,78153,918
2024-03-20$85.90$85.0021.4%6.1%25.3%40.2%22.6%2.7%-2.2%-6.6M-21.2M-695.4K1.5673.9122034320,84554,024
2024-03-21$86.66$85.0021.1%6.1%23.3%37.3%21.8%2.3%0.3%-5.6M-36.6M-668.8K0.7771.9876158720,94854,116
2024-03-22$85.98$85.0020.8%5.9%23.5%34.3%21.7%2.5%0.2%-6.7M-26.8M-661.3K0.9076.8720918820,84453,620
2024-03-25$85.85$85.0021.2%6.1%23.2%37.8%25.4%1.7%0.1%-7.2M-21.1M-680.8K1.9379.4842181120,93853,622
2024-03-26$85.90$85.0020.8%6.0%23.1%34.3%21.3%1.8%0.2%-7.0M-29.3M-636.3K1.3981.5531243421,19853,810
2024-03-27$85.41$85.0020.2%5.8%23.2%29.3%20.4%2.3%0.5%-8.2M-16.4M-672.8K0.9982.8865965221,26253,803
2024-03-28$85.38$85.0019.9%5.7%22.9%26.7%20.5%2.7%0.4%-8.1M-19.3M-645.6K2.4483.4628770021,50953,962